Sorry for the clickbait, but Hoover Institute fellow and “Grumpy Economist" John Cochrane's answers to the seemingly benign question, "How should long-term investors form portfolios," [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
ESG as Waving Banners and as Pulling Plows Meir StatmanJournal of Portfolio Management, 2020A version of this paper can be found hereWant to read our summaries [...]
Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
In this article we discuss the research concerning the question of whether or not investors can beat active mutual funds with cheap ETFs. Are Passive [...]
As the following table demonstrates, since its inception in the 1970s, the private equity industry has grown significantly. According to Preqin data, there are now [...]
Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns [...]
Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of [...]
Recently, we have experienced a rush of questions from investors/clients who seek our opinion on direct indexing/tax-loss-harvesting ("TLH") and how it compares to the potential [...]
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our [...]
This time is different. --John Templeton "This time is different," is a sentiment that leads many investors to stray from using data analysis in their [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management Maximilian Görgen, Andrea Jacob, and Martin NerlingerJournal of Portfolio ManagementA version of this paper [...]
The question we keep getting, in various forms, is the following:
Long story short, yes, yes, and yes...but it's complicated!
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]
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